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Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

  • Gabriel Pons

This paper proposes a method for testing seasonal unit roots that combines monthly and quarterly Hylleberg, Engle, Granger and Yoo (HEGY) tests. The new approach is more powerful than the method that does not use quarterly information, i.e. the monthly HEGY test. An empirical illustration of the proposed approach is given for monthly US Industrial Production. Copyright 2005 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2005.00463.x
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Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 27 (2006)
Issue (Month): 2 (03)
Pages: 191-209

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Handle: RePEc:bla:jtsera:v:27:y:2006:i:2:p:191-209
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  1. Rodrigues, P.M.M. & Franses, Ph.H.B.F., 2003. "A sequential approach to testing seasonal unit roots in high frequency data," Econometric Institute Research Papers EI 2003-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Smith, Jeremy & Otero, Jesus, 1997. "Structural breaks and seasonal integration," Economics Letters, Elsevier, vol. 56(1), pages 13-19, September.
  3. Breitung, J rg & Franses, Philip Hans, 1998. "On Phillips Perron-Type Tests For Seasonal Unit Roots," Econometric Theory, Cambridge University Press, vol. 14(02), pages 200-221, April.
  4. Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
  5. H. Niemi, 1984. "The invertibility of sampled and aggregated ARMA models," Metrika, Springer, vol. 31(1), pages 43-50, December.
  6. Niels Haldrup & Antonio Montanés & Andreu Sanso, . "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, School of Economics and Management, University of Aarhus.
  7. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  8. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
  9. repec:cup:cbooks:9780521565882 is not listed on IDEAS
  10. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, 01.
  11. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  12. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
  13. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
  14. Franses, Philip Hans, 1991. "Moving average filters and unit roots," Economics Letters, Elsevier, vol. 37(4), pages 399-403, December.
  15. da Silva Lopes, Artur C. B., 2001. "The robustness of tests for seasonal differencing to structural breaks," Economics Letters, Elsevier, vol. 71(2), pages 173-179, May.
  16. Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-56, July.
  17. Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February.
  18. Taylor, A M Robert, 2003. "Robust Stationarity Tests in Seasonal Time Series Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 156-63, January.
  19. Harvey, David I. & van Dijk, Dick, 2006. "Sample size, lag order and critical values of seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2734-2751, June.
  20. Paulo M. M. Rodrigues, 2002. "On LM type tests for seasonal unit roots in quarterly data," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 176-195, June.
  21. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
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